Market data lag

Discussion in 'Data Sets and Feeds' started by topdog, Apr 27, 2022.

  1. rb7


    FWIW, exchanges use network clock devices that cost north of 25k$ each. And they generally have to use 3 (at different location) to make sure that their systems are in synch with an official atomic clock.
    That's very expensive just to keep their clocks in synch...
    #31     Apr 28, 2022
  2. If you use NinjaTrader, here's some quick code that will print the timestamp from your market data feed and the timestamp of your local computer. NinjaTrader uses c#, but you can likely do the same thing in whichever trading software you use.

    protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
                Print("ES Price " + marketDataUpdate.Price + " | Data Timestamp: " + marketDataUpdate.Time + " milliseconds: " + marketDataUpdate.Time.Millisecond + " | PC Time: " + DateTimeOffset.Now.ToUnixTimeMilliseconds());
    I just ran this on our Chicago VPS, and here is the result:

    ES Price 4200.25 | Data Timestamp: 4/28/2022 9:26:45 AM milliseconds: 425 | PC Time: 1651156005437
    The local PC time is in UNIX, and can be converted to human readable time using

    The time test result:
    • Data timestamp: 425 milliseconds
    • VPS time: 437 milliseconds
    • Difference: 12 milliseconds
    I think selecting a better NTP time server would improve the test results as well. In this case, I used the default but or might be more accurate.
    #32     Apr 28, 2022
    topdog and NorgateData like this.
  3. SunTrader


    Ping your connection.

    Although many times brokers (like the one I'm with TradeStation), doesn't allow for security reasons, to connect all the way to them - last hub.
    #33     Apr 28, 2022